Real-Time Forecasting and Political Stock Market Anomalies: Evidence for the United States

Financial Review, Vol. 43, Issue 3, pp. 323-335, August 2008

13 Pages Posted: 14 Jul 2008

See all articles by Martin T. Bohl

Martin T. Bohl

University of Muenster

Jörg Döpke

Deutsche Bundesbank

Christian Pierdzioch

Saarland University - Department of Economics and Statistics

Abstract

Using monthly data from 1953 to 2003, we apply a real-time modeling approach to investigate the implications of U.S. political stock market anomalies for forecasting excess stock returns in real-time. Our empirical findings show that political variables, chosen on the basis of widely used model-selection criteria, are often included in real-time forecasting models. However, political variables do not contribute systematically to improving the performance of simple trading rules. For this reason, political stock market anomalies are not necessarily an indication of market inefficiency.

Suggested Citation

Bohl, Martin T. and Döpke, Jörg and Pierdzioch, Christian, Real-Time Forecasting and Political Stock Market Anomalies: Evidence for the United States. Financial Review, Vol. 43, Issue 3, pp. 323-335, August 2008, Available at SSRN: https://ssrn.com/abstract=1158736 or http://dx.doi.org/10.1111/j.1540-6288.2008.00196.x

Martin T. Bohl (Contact Author)

University of Muenster ( email )

Schlossplatz 2
D-48149 Muenster, D-48149
Germany

Jörg Döpke

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany
+49-069-9566-3051 (Phone)

Christian Pierdzioch

Saarland University - Department of Economics and Statistics ( email )

P.O. Box 151150
D-66041 Saarbruecken
Germany
+49 681 302 58195 (Phone)
+49 681 302 58193 (Fax)

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